clear

********************************************************************************
*** Load and Setup Data ***

* Load FOMC-Bloomberg panel
use "./data/fomc_panel", clear


* Multiply FX & Stocks by 100
replace fx_2day = fx_2day*100
replace stk_2day = stk_2day*100


* Standardize Asset Changes
rename fx_2day fx_unscl
rename stk_2day stk_unscl
rename yield3m_2day yield3m_unscl
rename yield2y_2day yield2y_unscl
rename yield5y_2day yield5y_unscl
rename yield10y_2day yield10y_unscl
rename exp2y_2day exp2y_unscl
rename exp10y_2day exp10y_unscl
rename tp2y_2day tp2y_unscl
rename tp10y_2day tp10y_unscl

sort ccode 
by ccode: egen fx_std = sd(fx_unscl)
by ccode: egen stk_std = sd(stk_unscl)
by ccode: egen yield3m_std = sd(yield3m_unscl)
by ccode: egen yield2y_std = sd(yield2y_unscl)
by ccode: egen yield5y_std = sd(yield5y_unscl)
by ccode: egen yield10y_std = sd(yield10y_unscl)
by ccode: egen exp2y_std = sd(exp2y_unscl)
by ccode: egen exp10y_std = sd(exp10y_unscl)
by ccode: egen tp2y_std = sd(tp2y_unscl)
by ccode: egen tp10y_std = sd(tp10y_unscl)

sort ccode date
gen fx_2day = fx_unscl/fx_std
gen stk_2day = stk_unscl/stk_std
gen yield3m_2day = yield3m_unscl/yield3m_std
gen yield2y_2day = yield2y_unscl/yield2y_std
gen yield5y_2day = yield5y_unscl/yield5y_std
gen yield10y_2day = yield10y_unscl/yield10y_std
gen exp2y_2day = exp2y_unscl/exp2y_std
gen exp10y_2day = exp10y_unscl/exp10y_std
gen tp2y_2day = tp2y_unscl/tp2y_std
gen tp10y_2day = tp10y_unscl/tp10y_std

* Label Variables
label var fx_1day "Exchange Rate"
label var fx_2day "Exchange Rate"
label var stk_1day "Stock Return"
label var stk_2day "Stock Return"
label var yield3m_1day "3 Month Yield"
label var yield3m_2day "3 Month Yield"
label var yield2y_1day "2 Year Yield"
label var yield2y_2day "2 Year Yield"
label var yield5y_1day "5 Year Yield"
label var yield5y_2day "5 Year Yield"
label var yield10y_1day "10 Year Yield"
label var yield10y_2day "10 Year Yield"

label var tp2y_1day "2 Year Term Prm"
label var tp2y_2day "2 Year Term Prm"
label var tp10y_1day "10 Year Term Prm"
label var tp10y_2day "10 Year Term Prm"
label var exp2y_1day "2 Year Exp Comp"
label var exp2y_2day "2 Year Exp Comp"
label var exp10y_1day "10 Year Exp Comp"
label var exp10y_2day "10 Year Exp Comp"


* Keep US only
keep if ccode == 49

* Drop dates - no FOMC announcement / coordinated action
drop if date == td(22may2013)
drop if date == td(08oct2008)

* Start sample in 1995
keep if date >= td(01jan1995)


********************************************************************************
*** Figure A.1 ***

label var mpu_2day "Change in monetary policy uncertainty"
label var mps_2day "Monetary policy surprse"

twoway (scatter mpu_2day mps_2day) (lfit mpu_2day mps_2day) 
graph save   figA1.gph, replace

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